The cyclicality of loan loss provisions under three different accounting models: the United Kingdom, Spain, and Brazil

ABSTRACT A controversy involving loan loss provisions in banks concerns their relationship with the business cycle. While international accounting standards for recognizing provisions (incurred loss model) would presumably be pro-cyclical, accentuating the effects of the current economic cycle, an alternative model, the expected loss model, has countercyclical characteristics, acting as a buffer against economic imbalances caused by expansionary or contractionary phases in the economy. In Brazil, a mixed accounting model exists, whose behavior is not known to be pro-cyclical or countercyclical. The aim of this research is to analyze the behavior of these accounting models in relation to the business cycle, using an econometric model consisting of financial and macroeconomic variables. The study allowed us to identify the impact of credit risk behavior, earnings management, capital management, Gross Domestic Product (GDP) behavior, and the behavior of the unemployment rate on provisions in countries that use different accounting models. Data from commercial banks in the United Kingdom (incurred loss), in Spain (expected loss), and in Brazil (mixed model) were used, covering the period from 2001 to 2012. Despite the accounting models of the three countries being formed by very different rules regarding possible effects on the business cycles, the results revealed a pro-cyclical behavior of provisions in each country, indicating that when GDP grows, provisions tend to fall and vice versa. The results also revealed other factors influencing the behavior of loan loss provisions, such as earning management.

摘要：银行业贷款损失准备与经济周期的关联一直是颇具争议的议题。国际上用于确认贷款损失准备的会计准则（已发生损失模型，incurred loss model）通常被认为具有顺周期性，会放大当前经济周期的波动效应；而另一替代模型——预期损失模型（expected loss model）则具备逆周期性，可作为缓冲机制，抵御经济扩张或收缩阶段引发的经济失衡。巴西目前采用混合会计模型，但其顺/逆周期性尚未明确。本研究旨在借助包含金融与宏观经济变量的计量模型，分析不同会计模型下贷款损失准备与经济周期的关联特征。本研究识别了信贷风险行为、盈余管理、资本管理、国内生产总值（GDP）以及失业率的变动对采用不同会计模型的国家的贷款损失准备的影响。研究样本涵盖2001年至2012年间英国（采用已发生损失模型）、西班牙（采用预期损失模型）及巴西（采用混合会计模型）的商业银行数据。尽管三国的会计模型在针对经济周期可能产生的影响方面规则差异显著，但研究结果显示，各国的贷款损失准备均表现出顺周期性：即国内生产总值增长时，贷款损失准备趋于下降，反之亦然。此外，研究还发现盈余管理等其他因素同样会影响贷款损失准备的变动行为。